財(cái)務(wù)會(huì)計(jì)理論sccot第四章有效證券市場(chǎng)(存儲(chǔ)版)
【正文】 ory ? Prior to the 1950’s it was generally believed that the use of fundamental or technical approaches could “beat the market” (though technical analysis has always been seen as something akin to voodoo). ? In the 1950’s and 1960’s studies began to provide evidence against this view. ? In particular, researchers found that stock price changes (not prices themselves) followed a “random walk.” ? They also found that stock prices reacted to new information almost instantly, not gradually as had been believed. The Efficient Markets Hypothesis ? The Efficient Markets Hypothesis (EMH) is made up of three progressively stronger forms: ?Weak Form ?Semistrong Form ?Strong Form The EMH Graphically ? In this diagram, the circles represent the amount of information that each form of the EMH includes. ? Note that the weak form covers the least amount of information, and the strong form covers all information. ? Also note that each successive form includes the previous ones. Str ong Form Semi Str ong Wea k Form All historical prices and returns All public information All information, public and private The Weak Form ? The weak form of the EMH says that past prices, volume, and other market statistics provide no information that can be used to predict future prices. ? If stock price changes are random, then past prices cannot be used to forecast future prices. ? Price changes should be random because it is information that drives these changes, and information arrives randomly. ? Prices should change very quickly and to the correct level when new information arrives (see next slide). ? This form of the EMH, if correct, repudiates technical analysis. ? Most research supports the notion that the markets are weak form efficient. The Semistrong Form ? The semistrong form says that prices fully reflect all publicly available information and expectations about the future. ? This suggests that prices adjust very rapidly to new information, an
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